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Measuring stock market integration during the Gold Standard
Stuart, Rebecca - 2020
This paper uses a broad geographical sample to investigate stock market integration during the classical Gold Standard. It is novel in estimating 'global components' of stock market returns, using methods proposed by Volosovych (2011), Pukthuanthong and Roll (2009) and Ciccarelli and Mojon...
Persistent link: https://www.econbiz.de/10012392200
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The Evolution of Complex Systems Theory and the Advancement of Econophysics Methods in the Study of Stock Markets Crashes
Joe, Ho Yew - 2017
This paper traces the origin and development of the complex systems theory over the course of history, up to its latest … advancement in the study of stock market crashes. The trail of the theory's fuzzy evolution is expansive that covers the ground of … complex systems theory from another seemingly overlapping theory of the chaos systems. The paper recounts how researchers from …
Persistent link: https://www.econbiz.de/10012966774
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Essays on consumption and expected returns
Yogo, Motohiro - 2004
Persistent link: https://www.econbiz.de/10003387664
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An analysis of the relation between return and beta for portfolios of Turkish equities
Terregrossa, Salvatore J.; Eraslan, Veysel - In: Cogent economics & finance 4 (2016) 1, pp. 1-8
The present study investigates the possible existence of a systematic relation between beta and excess-return for portfolios of Turkish equities. In the process, no systematic relation is found between beta and realized portfolio excessreturn, in an unconditional sense. However, the study does...
Persistent link: https://www.econbiz.de/10011450716
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Leverage and volatility feedback effects and conditional dependence index : a nonparametric study
Sun, Yiguo; Wu, Ximing - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-20
This paper studies the contemporaneous relationship between S&P 500 index returns and log-increments of the market volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate how the dependence between the two series varies...
Persistent link: https://www.econbiz.de/10011857010
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The Equity Premium Puzzle : An Artificial Neural Network Approach
Wong, Shee Q. - 2019
This paper presents evidence suggesting that artificial neural networks approach (ANNs) outperform traditional statistical methods and can forecast equity premiums reasonably well. The study replicates out-of-sample estimates of regression using ANN with economic fundamentals as inputs. The...
Persistent link: https://www.econbiz.de/10012895878
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Short-Term Predictability of Stock Market Indexes Following Large Drawdowns and Drawups
Ratton Brandi, Vinicius - 2018
The Efficient Market Hypothesis is one of the most popular subjects in the empirical finance literature. Previous studies in the stock markets, which are mostly based on fixed time price variations, do not provide conclusive findings, in which evidence of short-term predictability varies...
Persistent link: https://www.econbiz.de/10012914355
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Equity Valuation Cannot Outgrow the Economy Over the Long Run
Han, JC - 2016
Macroeconomic Theory and historical evidence suggest that bond prices help cause long-run convergence between stock …
Persistent link: https://www.econbiz.de/10012991589
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Risk, Return and Portfolio Theory – A Contextual Note
Senthilnathan, Samithamby - 2015
In investment, particularly in the portfolio management, the risk and returns are two crucial measures in making investment decisions. This paper attempts to provide a brief theoretical explanation with examples on determining the returns and associated risk of shares, and of the portfolio of...
Persistent link: https://www.econbiz.de/10013019802
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Modelling Extreme Financial Returns of Global Equity Markets
Cotter, John - 2007
divergences in the tail returns from around the world. To do so, it applies extreme value theory to equity indices representing …
Persistent link: https://www.econbiz.de/10014049088